Commit Graph

1 Commits

Author SHA1 Message Date
Jhonathan Abreu 4a41c2ea90 Detect unsupported option style in option price model (#6388)
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Add indicator for allowed option styles to QL option price models

* Add and update option price model tests

* Update option price models methods sumary to indicate allowed option styles

* Add regression algorithms for option price models for different option styles

* Update OptionPriceModel regression algorithms to use Lean local data

* Add Python regression algorithms for option price models for different option styles

* Update OptionPriceModel regression algorithms to assert that greeks are valid

* Address changes request

* Address changes request

* Update OptionPriceModel regression algorithms to check both call and put contracts

* Update OptionPriceModel regression algorithms to use correct test data

* Update OptionPriceModel regression algorithms to throw in OnData

* Address changes request

* Update OptionPriceModel regression algorithms to assert greeks are not all zero
2022-06-13 16:21:20 -04:00